Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0479 |
| Annualized Std Dev | 0.2381 |
| Annualized Sharpe (Rf=0%) | -0.2010 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3980.0000 |
| NAs | 1.0000 |
| Minimum | -0.1356 |
| Quartile 1 | -0.0051 |
| Median | 0.0007 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0060 |
| Maximum | 0.2242 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.0668 |
| Kurtosis | 27.2865 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0112 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.7622 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0384 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0168 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-04 | 2020-03-23 | NA | -0.7622 | 3578 | 3327 | NA |
| 2005-05-31 | 2005-11-22 | 2006-02-01 | -0.1367 | 171 | 124 | 47 |
| 2006-05-10 | 2006-05-24 | 2006-09-01 | -0.1239 | 81 | 11 | 70 |
| 2006-11-07 | 2006-11-14 | 2006-11-30 | -0.0475 | 17 | 6 | 11 |
| 2006-09-05 | 2006-09-14 | 2006-10-04 | -0.0412 | 22 | 8 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | 0 | 0 | 0.4 | 0.6 | 0.4 | -0.2 | 0.7 | 0.2 | 2 |
| 2006 | 0.3 | 1 | -0.4 | 0.7 | 2.8 | -0.7 | -0.5 | 0.9 | 0.8 | 0 | 1.9 | 0.7 | 7.7 |
| 2007 | 1.1 | -0.5 | 1.6 | 0.3 | 0.4 | 0.9 | -0.2 | 1.8 | 0.7 | -1.7 | 0.7 | 1.5 | 6.8 |
| 2008 | 0.5 | 0.8 | 2.6 | 1.5 | 1.6 | -1.3 | 0 | 0 | 3.8 | 2.3 | -4.3 | 6.7 | 14.8 |
| 2009 | -2.2 | -2.7 | 0.9 | -0.1 | 5.5 | 1.1 | -0.5 | 0 | -2 | -4.3 | 0.1 | -1 | -5.3 |
| 2010 | 2.2 | -0.2 | 3.3 | -1.8 | -0.4 | -1.9 | 0.3 | 1.9 | 0.8 | 0.3 | 1.1 | 0.9 | 6.7 |
| 2011 | 1.8 | 0.2 | 0.8 | 1.2 | -1.1 | 0.9 | 0.7 | -0.6 | -3.9 | -2.7 | 0.9 | 0.2 | -1.8 |
| 2012 | 1.6 | 0.5 | 1.4 | -1.4 | -2.6 | 2.3 | 0.9 | 0 | 0.7 | 1.7 | -0.5 | 1.8 | 6.5 |
| 2013 | 0.6 | -0.1 | -0.3 | -0.7 | -0.8 | 0.8 | 0.6 | -0.2 | 1 | -0.5 | 1.6 | 0.2 | 2.1 |
| 2014 | -1.2 | 0.5 | 0.8 | 0.7 | 0.3 | 0.6 | -1.1 | -0.2 | -0.9 | 1.2 | -1.1 | -1.2 | -1.7 |
| 2015 | -0.6 | 0.1 | -0.4 | 0.5 | -0.2 | 0.2 | 0.5 | -0.9 | 0.3 | 0.9 | 0.1 | -0.3 | 0.1 |
| 2016 | 0.4 | 2.6 | -0.1 | -0.1 | 0 | 0 | -0.2 | 0.5 | 0.6 | -0.6 | -0.1 | 0.4 | 3.5 |
| 2017 | 0.5 | 0.6 | -0.1 | -0.2 | 0.5 | -0.3 | 0 | 0.7 | 0.2 | 0.1 | -0.7 | 0.2 | 1.5 |
| 2018 | 0.3 | -2.2 | 1 | 0 | 0.5 | 0.4 | 0.1 | -0.5 | 0.4 | 1.3 | 0.5 | 0.1 | 1.8 |
| 2019 | -0.4 | 0.4 | 0.3 | 0.1 | -0.7 | -0.4 | -0.6 | 0.7 | -0.7 | 0.3 | 0.1 | 0.1 | -0.8 |
| 2020 | -1.4 | -4 | -2.9 | -1.1 | 1.4 | 0.1 | -0.2 | 0.7 | 0.8 | -1.1 | 1.2 | 0.7 | -5.6 |
| 2021 | -0.3 | 1.7 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
